Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise

DOI10.1214/22-aap1837zbMath1515.65031arXiv2010.00915MaRDI QIDQ6103992

Thomas Müller-Gronbach, Larisa Yaroslavtseva

Publication date: 5 June 2023

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.00915

zbMATH Keywords

stochastic differential equationsstrong approximationlower error boundsdiscontinuous drift coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient ⋮ Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time

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